rugarch: Univariate GARCH Models

ARFIMA, in-mean, external regressors and various GARCH flavors, with methods for fit, forecast, simulation, inference and plotting.

Version: 1.5-1
Depends: R (≥ 3.5.0), methods, parallel
Imports: Rsolnp, ks, numDeriv, spd, xts, zoo, chron, SkewHyperbolic, Rcpp, graphics, stats, grDevices, utils, nloptr
LinkingTo: Rcpp (≥ 0.10.6), RcppArmadillo (≥ 0.2.34)
Suggests: knitr, rmarkdown
Published: 2023-09-20
DOI: 10.32614/CRAN.package.rugarch
Author: Alexios Galanos [aut, cre], Tobias Kley [ctb]
Maintainer: Alexios Galanos <alexios at>
License: GPL-3
Copyright: see file COPYRIGHTS
NeedsCompilation: yes
Citation: rugarch citation info
Materials: README ChangeLog
In views: Finance, TimeSeries
CRAN checks: rugarch results


Reference manual: rugarch.pdf
Vignettes: Introduction to the rugarch package


Package source: rugarch_1.5-1.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release (arm64): rugarch_1.5-1.tgz, r-oldrel (arm64): rugarch_1.5-1.tgz, r-release (x86_64): rugarch_1.5-1.tgz, r-oldrel (x86_64): rugarch_1.5-1.tgz
Old sources: rugarch archive

Reverse dependencies:

Reverse depends: iClick, rmgarch
Reverse imports: ARMALSTM, ConnectednessApproach, dccmidas, harbinger, portvine, PWEV, qrmtools, quarks, RMOPI, SBAGM, tseriesTARMA, ufRisk, WaveletGARCH
Reverse suggests: AER, copula, facmodCS, facmodTS, highfrequency, RTL, tsDyn, xdcclarge, zenplots


Please use the canonical form to link to this page.